1.
몇 달전, 사람이 만든 시간을 기준으로 하면 작년 한국판 Flash Crash라고 신문을 장식한 사건이 있었습니다.
신문사가 도를 넘는 제목붙이기로 혼란을 주었지만 Pre-Trade Risk Management가 중요함을 일깨워준 사건이었습니다. ? 몇 일전 금감원이 발표한 2011년 금융감독 설명회 자료에서도 DMA거래와 관련하여 위험관리를 강화하겠다는 이야기를 했습니다.
미국식으로 거래소가 직접 주문을 받는 DMA=Sponsored Access는 아니지만 원장시스템을 거치지 않는 한국형 DMA도 주문사고가 날 확률이 있기때문에 어떤 내부규정을 두느냐가 매우 중요합니다. 이와 관련항여 FPL의 규정을 소개한 적이 있었습니다.
2.
지난 26일 아시아 거래소로는 처음으로 SGX가 DMA거래의 위험관리를 위하여 Pre-Trade Risk Management Service를 도입하였다고 발표하였습니다.
Singapore Exchange Takes the Lead in Asia to Introduce Pre-trade Risk Controls
기사는 SGX가 DMA고객(거래소로 직접 주문을 내는 Sponsored Access를 하는 고객)에게 어떤 서비스를 새롭게 제공하는지 아래와 같이 소개하고 있습니다.
Buy-side clients and proprietary trading firms currently connect their trading systems to the risk management systems of SGX’s clearing members for pre-trade risk checks. With SGX’s pre-trade risk controls, customers will be able to connect their order management systems directly to the exchange’s trading engine.
The system offers a two-gate check, which initially ensures that a maximum order size is adhered to, and secondly that trading size limits, one for buy and one for sell, are not exceeded. Margins for limits are set by the sell-side firm depending on the contract traded.
Dominic Lim, head of market access at SGX, says the system is fairly basic but does offer a number of advantages to users.
Firstly connecting via a sell-side firm gives the broker a level of exclusive control over its client’s risk controls. If the clients have valuable proprietary trading systems, they may not want to allow this level of access. By connecting directly to the exchange, they can bypass this challenge, with the broker setting the limit at the exchange level.
The system also reduces ties to the clearing member, which allows fund managers to switch between clearing members more easily. By linking directly to the exchange engine the solution also reduces the number of ‘hops’ made during the trading process, reducing latency
DMA고객을 유치한 브로커가 직접 주문을 받지 않고 거래소를 직접 주문을 낼 수 있도록 서비스를 제공하더라도 브로커는 maximum order size와? trading size limits를 정의함으로써 위험을 관리할 수 있도록 하였습니다.
이런 서비스는 FIA의 권고에 따릅니다. The Futures Industry Association으로 미국에 있습니다. 여기서 선물거래와 관련된 여러가지 규정을 만들어서 보급하고 있습니다. 코로케이션서비스를 소개할 때 언급하였던 규정이 바로 FIA에서 작성한 것입니다.
FIA에서 만들어서 권고한 문서는 다음과 같은 시장의 요구에 부응하기 위하여 작성되었습니다.
Conformance Testing. Trading firms are required to pass conformance testing with the party providing access when implementing a new direct access system or when the exchange deems it necessary because of a fundamental change in functionality on the exchange side. The onus is on the trading firm to determine when it must recertify due to a change in logic within its system.
Heartbeating with the Exchange. Trading systems can monitor “heartbeats” with the exchange to identify when connectivity to the exchange is lost. If connectivity is lost, the system is disabled and working orders are cancelled.
Kill Button. Trading systems can have a manual “kill button” that, when activated, disables the system’s ability to trade and cancels all resting orders.
Pre-Trade Risk Limits. Trading firms can establish and automatically enforce pre-trade risk limits that are appropriate for the firms’ capital base, clearing arrangements, trading style, experience, and risk tolerance. These risk limits can include a variety of hard limits, such as position size and order size. Depending on the trading strategy, these limits may be set at several levels of aggregation. These
risk limits can be implemented in multiple independent pre-trade components of a trading system.
Post-Trade Risk Limits. Trading firms can also establish and automatically enforce post-trade risk limits that are appropriate for the firm’s capital base, clearing arrangements, trading style, experience, and risk tolerance. For example, a trading firm can set daily loss-limits by instrument, asset class, and strategy and automatically close out or reduce positions if those limits are breached.
Fat-Finger Quantity Limits. Trading systems can have upper limits on the size of the orders they can send, configurable by product. They can prevent any order for a quantity larger than the fat-finger limit from leaving the system.
Repeated Automated Execution Throttle. Automated trading systems can have functionality in place that monitors the number of times a strategy is filled and then re-enters the market without human intervention. After a configurable number of repeated executions the system will be disabled until a human re-enables it.
Near-Time Reconciliation. Trading systems can have functionality in place that accepts drop-copies from exchanges and clearing firms. Drop copies are duplicate copies of orders that allow a firm to compare the exchange or clearing firm view of trades and positions with the firm’s internal view. This helps to assure that all systems are performing as expected and maintaining accurate and consistent views of trades and positions.
Reasonability Checks. Trading systems can have “reasonability checks” on incoming market data as well as on generated values.
아래는 이와 관련된 Recommandation입니다.
3.
위의 내용을 보면 The Role Of Exchange라고 되어 있습니다. 이는 KRX와 달리 외국거래소는 고객의 주문을 직접 받을 수 있고 DMA가 거래소와 DMA 고객사에 이루어지기때문입니다. 반면 한국에서는 모든 주문을 거래소가 아니라 중개업허가를 받은 금융투자사만이 받을 수 있습니다. DMA서비스도 이런 전제하에서 구성됩니다.
따라서 The Role Of Exchange라고 되어 있지만 한국증권사에 유효한 권고안이라고 생각합니다. 현재 DMA를 위한 다양한 시스템을 구축하고 있습니다. 위의 권고를 참조하여 위험관리가 가능한 DMA서비스가 구성되었으면 합니다.
